This is throwing Error: Class 'Drupal\mymodule\Component\MyCustomClass' not found in mytheme_preprocess_paragraph(). What gives? The module is enabled and my theme is active/default. I've tried rebuilding cache and restarting the server.

This question appears to be off-topic. The users who voted to close gave this specific reason:

"This question was caused by a problem that can no longer be reproduced, was solved by a cache clear, or was a simple typographical error. While similar questions may be on-topic here, this one was resolved in a manner unlikely to help future readers." – kiamlaluno

Go over to phptherightway.com for a quick update and how the PSR-4 autoloader works and it will illuminate you on all of this much faster. Also some of the initial Symfony docs too.
– KevinJan 8 at 0:45